Phase transitions in debt recycling
Debt recycling is an aggressive equity extraction strategy that potentially permits faster repayment of a mortgage. While equity progressively builds...
Correlation between upstreamness and downstreamness in random global value chains
This paper is concerned with upstreamness and downstreamness of industries and countries in global value chains. Upstreamness and downstreamness...
Upstreamness and downstreamness in input-output analysis from local and aggregate information
Ranking sectors and countries within global value chains is of paramount importance to estimate risks and forecast growth in large economies. However...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
Reconstructing and Stress Testing Credit Networks
Financial networks are an important source of systemic risk, but often only partial network information is available. In this paper, we use data on...
Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error
The contour maps of the error of historical resp. parametric estimates for large random portfolios optimized under the risk measure Expected Shortfall...
Taming the Basel Leverage Cycle
Effective risk control must make a tradeoff between the microprudential risk of exogenous shocks to individual institutions and the macroprudential...
